Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0233
Annualized Std Dev 0.2797
Annualized Sharpe (Rf=0%) 0.0834

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1436
Quartile 1 -0.0076
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0088
Maximum 0.1918
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0176
Skewness -0.0527
Kurtosis 10.2825

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0125
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.8410
Historical VaR (95%) -0.0261
Historical ES (95%) -0.0426
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0339
From Trough To Depth Length To Trough Recovery
2000-02-22 2009-03-09 NA -0.8410 5304 2274 NA
1999-02-03 1999-04-13 1999-07-02 -0.1875 105 48 57
1999-09-15 1999-12-15 1999-12-22 -0.1301 70 65 5
2000-01-28 2000-01-31 2000-02-07 -0.0985 7 2 5
1999-07-16 1999-08-12 1999-08-23 -0.0769 27 20 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.5 0.5 -2.8 -1.7 0.5 1.5 0 -1.2 -2.7 1.7 1.8 2.9 1.9
2000 1.6 2 7.4 5.9 4.9 0.8 3.9 1 -1 2.3 3.5 0.6 37.9
2001 -1.1 -3.1 0.5 1.7 0.2 0.9 0 0.1 -1.4 0.2 0.9 -0.2 -1.4
2002 1.3 -1.3 -0.8 -0.6 0.3 -5.6 -2.1 -0.2 -0.4 -0.2 -1.1 1.4 -9.2
2003 -0.4 -1.1 3.2 1.9 -0.1 -1.5 -1.3 0.3 2.4 1 0.5 -1.6 3.4
2004 -2.5 -0.1 0.6 -0.1 -1 -0.1 1.4 0.6 -0.4 -0.6 0.6 -0.4 -1.9
2005 1.4 0.7 0.3 0.1 0.1 1 0 0.8 0.3 -0.1 0.4 -0.4 4.8
2006 1.2 1.2 0.4 0.4 0.7 3.8 -0.6 0.1 0.7 -0.7 -0.7 0.2 6.7
2007 0.5 -1.1 1.6 -0.2 0.6 -0.7 -0.6 1.6 0.9 -1.3 -0.2 1 2.1
2008 1.8 -2.2 2.2 1.5 0.3 0 -0.2 -0.9 -0.5 2.1 -7.2 1.2 -2.3
2009 -0.1 -3.9 -1.2 0 1 -1 0.8 -2.2 -1.6 -2.7 1.1 0.7 -8.9
2010 0.6 2.2 1 -1.4 -1.4 -1.5 0.7 1.9 0 2.3 1.2 -1.1 4.5
2011 1 -0.9 0.6 0.4 -2.9 0.3 -0.3 -0.7 -1.2 -0.7 -0.2 -0.2 -4.7
2012 0.6 0.6 1.2 1.3 -3.9 3.6 0.2 0.2 0 1.7 0.1 0.6 6.2
2013 0.9 0.5 0.9 0 -0.9 2.3 2.3 -1.3 1.1 -0.6 0.3 -1.1 4.4
2014 -0.9 -1.6 3.1 1.1 -2.3 1.8 -1.3 0.4 -1.3 1 -2 0 -1.9
2015 -1 -0.8 -1.1 1.6 0.5 1.2 1 -2.1 3.3 0.2 0.1 -0.3 2.7
2016 -0.1 4.3 2.8 -3.9 0.9 2.5 1.4 -0.4 1.4 0.7 -1.4 -1.2 7.1
2017 0.9 0.9 0.5 0.5 1.5 -1 -1.1 0.7 1.3 -0.9 0.1 -0.2 3.3
2018 0.3 -0.5 0.7 -0.1 0.2 2.1 0.6 0.1 -0.3 2.5 1.7 -0.7 6.7
2019 0.6 1.5 -0.3 -0.4 -1.7 0.7 -0.4 -0.7 -1.1 1.7 0.1 0.3 0.3
2020 -2.1 -2 -5.1 -3.1 -0.1 0.7 -1.5 -1.3 0.5 -1.7 0.8 -0.2 -14.2
2021 0.6 1.3 1.2 NA NA NA NA NA NA NA NA NA 3.2

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart